Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.

One way to think about mechanical systems trading the LME metals forward contracts, is to lump them in with other "weird" futures markets that are also very difficult to simulate precisely. Then decide upon a strategem / heuristic / kludge and apply it to them all. Here are a few possibilities, I'm sure you will be able to invent more

For these markets, trading system code multiplies position size by zero. Thus position size for these markets is always zero. You don't trade them.

For these markets, trading system code multiplies position size by a fixed constant number C, which is greater than zero but less than one. You take positions in these markets but at less than full size.

Assign these markets to their own sector; trading system code allocates smaller total-sector-risk ("sector heat") to this sector than to the other sectors containing normal markets

Only trade these markets with your longest-term system(s), the one(s) which hold trades the longest and which have the largest average trade outcome in Rmultiples. The Annoyances introduce some uncertainty into the calculation of profit and loss; counteract this by having a very large average profit (and a very large average loss), so the uncertainty is small with respect to the profit or loss. Have trades so big that the uncertainty is nearly negligible.

sluggo wrote:One way to think about mechanical systems trading the LME metals forward contracts, is to lump them in with other "weird" futures markets that are also very difficult to simulate precisely.....

I did check the links, but this time your answer is a little bit too esoteric for me, I'm not sure I'm following you.

Sluggo wrote:LME - Quote is for 3 month fwd, not for YOUR POSITION ......

I bought 1 lot of Lead on my dummy trading account, below there's what I see on my dummy account. I can't see anything wrong in using a future-style multiplier. I guess I'll have to wait tomorrow morning to see how the contract has been accounted for.

For these markets, trading system code multiplies position size by zero. Thus position size for these markets is always zero. You don't trade them.

For these markets, trading system code multiplies position size by a fixed constant number C, which is greater than zero but less than one. You take positions in these markets but at less than full size.

Assign these markets to their own sector; trading system code allocates smaller total-sector-risk ("sector heat") to this sector than to the other sectors containing normal markets

Only trade these markets with your longest-term system(s), the one(s) which hold trades the longest and which have the largest average trade outcome in Rmultiples. The Annoyances introduce some uncertainty into the calculation of profit and loss; counteract this by having a very large average profit (and a very large average loss), so the uncertainty is small with respect to the profit or loss. Have trades so big that the uncertainty is nearly negligible.

I chose #1 for the time being. I'd like to eventually add them to the mix, but starting with a small account and trading foreign futures for the first time, I decided simple is better.

sluggo wrote:One way to think about mechanical systems trading the LME metals forward contracts, is to lump them in with other "weird" futures markets that are also very difficult to simulate precisely...

I did trade Lead and below is what I got from my statements.
It looks like you can use CSI LME price series; just remember with LME you have credit/debits and the infamous 'Discount factor'.
Last but not the least, CSI series bars are different from bars of LME Select (LME electronic platform): it looks like CSI is using a different time session.
LME Select is operating 01:00-19:00 London Time while CSI seems to use 07:00-19:00 London Time.

I think the Bollinger Breakout system that ships with Trading Blox software, only uses the Close price. It pays no attention to the Open, High, or Low price.

The BBO system demonstrates that it is possible to trade using only the Close price. Whether or not it is desirable, comes down to a matter of individual preference.

You could quite easily modify the MACD, 2MA, 3MA, and RSI Trend Catcher systems to only use Close prices, if you wished. Just switch to using "Standard Deviation" as your measurement of Volatility, rather than Average True Range. Place your protective stop at such-and-such number of SDs from entry, rather than putting your stop at so-and-so number of ATRs from entry. Done. Easy.

It would be more difficult to modify the Turtle system and the Donchian system to use only Close prices. And it would be extremely difficult (impossible) to modify the ADX system to use only Close prices. Two minutes of studying the way ADX is calculated, will show you why.

For additional examples of mechanical trading systems that use only the Close price, study published systems that trade mutual funds. The vast bulk of mutual funds are only quoted once per day, at the close, and so that's what MF trading systems are forced to live with.

sluggo wrote:I think the Bollinger Breakout system that ships with Trading Blox software, only uses the Close price. It pays no attention to the Open, High, or Low price.

The BBO system demonstrates that it is possible to trade using only the Close price....... .

..and not using stops. If you entered long on 21-OCT-10 at 2474.00 with a stop-loss at 2400.00, you were stopped out.

I was wondering if anyone use CSI data and trade LME.

Ed Seykota wrote:Continuous contracts provide a pretty good way to determine the long term trend from individual delivery segments.

This approach seems most applicable for metals in stable contango - and less so for agriculturals with seasonal spreads such as July/November Soybeans and October/Feb Pork Bellies.

Other complications can arise during very volatile markets, from having free-running nearby futures and price limits on the more distant ones. The Silver move to the $50 area has very different continuous contracts depending on the choice of deliveries and the roll dates.

Other approaches are to determine the long-term trend from the underlying cash chart - or from a the rolling chart, say 1 month or three months out, similar to LME contracts.

Update for avid LME metal traders: CSI added electronic metals; unfortunately price series have been updated only since mid November 2010.

31 May 2006
LME Select to Open at 0100hrs from 1 June 2006

The London Metal Exchange (LME) has today confirmed that the Exchangeâ€™s electronic trading platform, LME Select, will open six hours earlier from 1 June 2006. The new trading times will be from 0100hrs London time to 1900hrs....